Assume the risk-free rate is 7% p.a. The expected return on the market portfolio is 12% p.a., and the variance of this r

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Assume the risk-free rate is 7% p.a. The expected return on the
market portfolio is 12% p.a., and the variance of this return (σ )
2 m is 0.09. You are examining two stocks: A and B. The standard
deviations of the return on Stocks A and B are 50% p.a. and 20%
p.a. respectively. The correlation between each stock and the
market is: , , 0.90, 0.60 ρ ρ A m B m = = . What is the beta of
each stock? a. 1.5 and 0.40 b. 1.5 and 0.32 c. 1.78 and 0.56 d.
Cannot be determined.
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